Stochastic Dynamics and the Stationary Distribution of Wealth
نویسندگان
چکیده
April, 2005 Abstract. A model with wealth accumulation subject to i.i.d. random shocks is examined. The transfer function shows what kt+1 wealth at t+ 1 would be, given kt, with no shock. It has a positive slope, but indeterminate concavity/convexity. The stationary distribution satis es a Fredholm integral equation and can be examined by direct analysis of the stochastic process or via the Fredholm equation. The shape of the transfer function, particularly any non-linearities, and the distribution of shocks, a¤ect the stationary distribution(s). Economic theory forces consideration of a broad range of cases, including some which violate -convergence. Twin peaks in the stationary distribution cannot be excluded.
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The Stationary Distribution of Wealth with Random Shocks
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